Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model-Reference-Cited by-同舟云学术

Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

Published:2018-06-22 Issue:6 Volume:13 Page:e0198753
ISSN:1932-6203
Container-title:PLOS ONE
language:en
Short-container-title:PLoS ONE

Author:

Sampid Marius Galabe,Hasim Haslifah M.^ORCID,Dai Hongsheng

Publisher

Public Library of Science (PLoS)

Subject

Multidisciplinary

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